How the system is validated and governed
Not how it trades. What follows is the standard the work is held to.
01 // A note on disclosure
Implementation details, parameters and instrument selection are deliberately not published. That is a decision, not an omission.
What is published is the standard the system is measured against — which is the part worth reading anyway. A method survives scrutiny; a rule set only survives secrecy.
02 // Walk-forward validation
Parameters are chosen on an earlier window and judged only on a later window the selection never saw. The pair is then rolled forward and the process repeats, so that every result reported anywhere on this site is out-of-sample.
This produced 14 out-of-sample windows spanning January 2018 to May 2026.
03 // Costs are modeled, not assumed away
Fees on both sides of a position, slippage, and funding or financing charges are all deducted before a result counts as a result. A gross number is not evidence of anything.
04 // Robustness
Monte Carlo across 1,000 trade-order reshuffles, to separate the shape of the outcome from the order it happened to arrive in.
Sensitivity checking confirms that performance does not collapse under small perturbation — a configuration must remain acceptable in the neighbourhood around it, not only at the exact point that tested best.
05 // The acceptance standard
Fixed in writing before results were seen. Pre-commitment is the entire point of the section:
- Profit factor at least 1.3
- Average trade at least twice its own cost
- Max drawdown no worse than 20%
- Monte Carlo p95 drawdown no worse than 25%
- Sharpe at least 0.8, or MAR at least 0.5
- At least 100 out-of-sample trades
- A stress test at triple slippage and double funding still above 1.1
Configurations failing any single criterion were rejected regardless of how good the rest of the profile looked.
06 // Governance
Changes are proposed within bounded limits, reviewed before they take effect, and never applied automatically in a way that increases risk. Anything that could loosen a constraint requires a human to act; nothing loosens itself.
07 // Limitations
- Backtests are not live trading.
- Simulated fills do not model real market impact.
- The test period is dominated by a small number of large market moves, and results depend on comparable conditions recurring.
- The traded universe is narrow.
- Walk-forward reduces but cannot eliminate selection bias.